dirtydishes/islandflow
1
0
Fork 0
Code Issues 2 Pull requests 4 Projects Releases Packages Wiki Activity Actions 1

Add smart-money option signal path and tape filters

Browse source
This commit is contained in:
dirtydishes 2026-04-28 16:29:44 -04:00
parent 758f111d7e
commit 27b0a399e6
23 changed files with 1827 additions and 175 deletions
Download patch file Download diff file Expand all files Collapse all files

115
services/ingest-equities/src/adapters/synthetic.ts
View file

@ -1,8 +1,14 @@
import { SP500_SYMBOLS, type EquityPrint, type EquityQuote } from "@islandflow/types";
import {
SP500_SYMBOLS,
type EquityPrint,
type EquityQuote,
type SyntheticMarketMode
} from "@islandflow/types";
import type { EquityIngestAdapter, EquityIngestHandlers } from "./types";
type SyntheticEquitiesAdapterConfig = {
emitIntervalMs: number;
mode: SyntheticMarketMode;
};
const EXCHANGES = ["NYSE", "NASDAQ", "ARCA", "BATS", "IEX", "TEST"];
@ -22,10 +28,7 @@ const DARK_SEQUENCE: DarkScenario[] = [
"sell",
"sell"
];
const SYNTHETIC_SYMBOLS = [
"SPY",
...SP500_SYMBOLS.filter((symbol) => symbol !== "SPY")
];
const SYNTHETIC_SYMBOLS = ["SPY", ...(SP500_SYMBOLS as readonly string[])];
const hashSymbol = (value: string): number => {
let hash = 0;
@ -124,6 +127,30 @@ const priceForPlacement = (
export const createSyntheticEquitiesAdapter = (
config: SyntheticEquitiesAdapterConfig
): EquityIngestAdapter => {
const profile =
config.mode === "firehose"
? {
batchSize: 10,
darkEvery: true,
offExchangeMod: 2,
litSizeBase: 40,
litSizeRange: 1400
}
: config.mode === "active"
? {
batchSize: 5,
darkEvery: true,
offExchangeMod: 4,
litSizeBase: 20,
litSizeRange: 900
}
: {
batchSize: 2,
darkEvery: false,
offExchangeMod: 8,
litSizeBase: 10,
litSizeRange: 300
};
return {
name: "synthetic",
start: (handlers: EquityIngestHandlers) => {
@ -140,7 +167,7 @@ export const createSyntheticEquitiesAdapter = (
}
const now = Date.now();
const batchSize = 3;
const batchSize = profile.batchSize;
const darkSymbol = SYNTHETIC_SYMBOLS[darkSymbolIndex % SYNTHETIC_SYMBOLS.length];
const darkHash = hashSymbol(darkSymbol);
@ -151,44 +178,46 @@ export const createSyntheticEquitiesAdapter = (
const scenario = DARK_SEQUENCE[darkStep % DARK_SEQUENCE.length];
const darkTs = now;
if (handlers.onQuote) {
quoteSeq += 1;
const quoteEvent = buildSyntheticQuote(
quoteSeq,
darkTs - 2,
if (profile.darkEvery) {
if (handlers.onQuote) {
quoteSeq += 1;
const quoteEvent = buildSyntheticQuote(
quoteSeq,
darkTs - 2,
darkSymbol,
darkQuote.bid,
darkQuote.ask
);
void handlers.onQuote(quoteEvent);
}
seq += 1;
let darkPlacement: PricePlacement = "MID";
let darkSize = config.mode === "firehose" ? 4000 : 2600;
if (scenario === "buy") {
darkPlacement = darkStep % 2 === 0 ? "A" : "AA";
darkSize = config.mode === "firehose" ? 1500 : 800;
} else if (scenario === "sell") {
darkPlacement = darkStep % 2 === 0 ? "B" : "BB";
darkSize = config.mode === "firehose" ? 1500 : 800;
}
const darkPrice = priceForPlacement(darkMid, darkQuote, darkPlacement);
const darkPrint = buildSyntheticPrint(
seq,
darkTs,
darkSymbol,
darkQuote.bid,
darkQuote.ask
darkPrice,
darkSize,
DARK_EXCHANGE,
true
);
void handlers.onQuote(quoteEvent);
}
void handlers.onTrade(darkPrint);
seq += 1;
let darkPlacement: PricePlacement = "MID";
let darkSize = 2600;
if (scenario === "buy") {
darkPlacement = darkStep % 2 === 0 ? "A" : "AA";
darkSize = 800;
} else if (scenario === "sell") {
darkPlacement = darkStep % 2 === 0 ? "B" : "BB";
darkSize = 800;
}
const darkPrice = priceForPlacement(darkMid, darkQuote, darkPlacement);
const darkPrint = buildSyntheticPrint(
seq,
darkTs,
darkSymbol,
darkPrice,
darkSize,
DARK_EXCHANGE,
true
);
void handlers.onTrade(darkPrint);
darkStep += 1;
if (darkStep >= DARK_SEQUENCE.length) {
darkStep = 0;
darkSymbolIndex += 1;
darkStep += 1;
if (darkStep >= DARK_SEQUENCE.length) {
darkStep = 0;
darkSymbolIndex += 1;
}
}
for (let i = 0; i < batchSize; i += 1) {
@ -201,9 +230,9 @@ export const createSyntheticEquitiesAdapter = (
const placement: PricePlacement =
seq % 11 === 0 ? "A" : seq % 13 === 0 ? "B" : "MID";
const price = priceForPlacement(mid, quote, placement);
const size = 10 + (seq % 600);
const size = profile.litSizeBase + (seq % profile.litSizeRange);
const exchange = EXCHANGES[(seq + symbolHash) % EXCHANGES.length];
const offExchangeFlag = (seq + i) % 6 === 0;
const offExchangeFlag = (seq + i) % profile.offExchangeMod === 0;
const eventTs = now + i * 4;
if (handlers.onQuote) {

12
services/ingest-equities/src/index.ts
View file

@ -19,6 +19,7 @@ import {
import {
EquityPrintSchema,
EquityQuoteSchema,
resolveSyntheticMarketModes,
type EquityPrint,
type EquityQuote
} from "@islandflow/types";
@ -36,6 +37,8 @@ const envSchema = z.object({
CLICKHOUSE_DATABASE: z.string().default("default"),
EQUITIES_INGEST_ADAPTER: z.string().min(1).default("synthetic"),
EMIT_INTERVAL_MS: z.coerce.number().int().positive().default(1000),
SYNTHETIC_MARKET_MODE: z.string().default("realistic"),
SYNTHETIC_EQUITIES_MODE: z.string().default(""),
// Alpaca (equities)
ALPACA_KEY_ID: z.string().default(""),
@ -63,6 +66,10 @@ const envSchema = z.object({
});
const env = readEnv(envSchema);
const syntheticModes = resolveSyntheticMarketModes({
syntheticMarketMode: env.SYNTHETIC_MARKET_MODE,
syntheticEquitiesMode: env.SYNTHETIC_EQUITIES_MODE
});
const state = {
shuttingDown: false,
@ -153,7 +160,10 @@ const parseSymbolList = (value: string): string[] => {
const selectAdapter = (name: string): EquityIngestAdapter => {
if (name === "synthetic") {
return createSyntheticEquitiesAdapter({ emitIntervalMs: env.EMIT_INTERVAL_MS });
return createSyntheticEquitiesAdapter({
emitIntervalMs: env.EMIT_INTERVAL_MS,
mode: syntheticModes.equities
});
}
if (name === "alpaca") {